In this JPMorgan Chase Institute report, we document a high-frequency relationship between stock market returns and patterns observed in consumer spending and investing behavior. The analysis draws from a core sample of approximately 12 million active Chase credit card users since 2012, and we...

This paper empirically determined the impact of economic policy uncertainties on the Indian stock market. Taking advantage of a unique data set over the period 2004- 2017 (14 yrs), we made use of Mixed data sampling (MIDAS) for our empirical assessment. The result showed that an increase in...

The Fed has never admitted targeting stock prices. Yet our empirical analysis, based on a small macro-econometric model of the U.S. economy in the period 1981-2002, shows that the Fed explicitly takes into account stock price variations in its reaction function. Furthermore, our simulation...

We propose a novel information-theoretic approach to separately identify the risk preferences and beliefs of different types of financial market investors. Investors who allocate most of their wealth in large market capitalization stocks are risk averse and believe that the aggregate stock...

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...